N
Nizar Touzi
Researcher at École Polytechnique
Publications - 231
Citations - 11996
Nizar Touzi is an academic researcher from École Polytechnique. The author has contributed to research in topics: Martingale (probability theory) & Stochastic control. The author has an hindex of 57, co-authored 224 publications receiving 11018 citations. Previous affiliations of Nizar Touzi include University of Paris & Paris Dauphine University.
Papers
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Journal ArticleDOI
Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
Bruno Bouchard,Nizar Touzi +1 more
TL;DR: In this paper, a discrete-time approximation for decoupled forward-backward stochastic dierential equations is proposed, and the L p norm of the error is shown to be of the order of the time step.
Journal ArticleDOI
Applications of Malliavin calculus to Monte-Carlo methods in finance. II
TL;DR: This paper returns to the formulas developed in [1] concerning the “greeks” used in European options, and answers the question of optimal weight functional in the sense of minimal variance.
Journal ArticleDOI
Wellposedness of Second Order Backward SDEs
TL;DR: Soner et al. as mentioned in this paper provided an existence and uniqueness theory for an extension of backward SDEs to the second order, which is a fully nonlinear extension of the Feynman-Kac formula.
Journal ArticleDOI
Option hedging and implied volatilities in a stochastic volatility model
Eric Renault,Nizar Touzi +1 more
TL;DR: In this paper, the authors characterize the so-called Black and Scholes implied volatility as a function of two arguments the ratio of the strike to the underlying asset price and the instantaneous value of the volatility.
Book ChapterDOI
Law invariant risk measures have the Fatou property
TL;DR: In this paper, a dual characterization of law invariant coherent risk measures, satisfying the Fatou property, was given, and it was shown that the hypothesis of Fatou properties may actually be dropped as it is automatically implied by the hypothesis for law invariance.